This paper analyzes rigidities in the behavior of mark-up on petroleum products in the New York area using a new set of high-frequency data. We use a methodology that accounts both for deterministic and stochastic nature of petrol prices. The results indicate that the adjustment to the long run...

We develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluatethese methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1)...

This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less understood. We find a return premium for commonality...

This paper extends previous tests of the conditional CAPM using different asymmetric and non-diagonal multivariate GARCH-M specifications for eight large national markets and the world market simultaneously. To solve the well-known problems associated with the likelihood functions of...

This paper uses a multivariate regime-switching framework to investigate and endogenously date changes in return characteristics on the four largest Nordic stock markets. We find that the deregulated time-period, specifically after 1982, is associated with higher expected return, higher...

We derive theoretical discrete time asset pricing restrictions on the within state conditional mean equations for the market portfolio and for individual assets under the assumptions: (1) the conditional CAPM holds; (2) asset returns are driven by an underlying unobserved two-state discrete...

This paper estimates a conditional version of the liquidity adjusted CAPM by Acharya and Pedersen (2005) using NYSE and AMEX data from 1927 to 2010 to study the illiquidity premium and its variation over time. The components of the illiquidity premium is in this model derived as the level of...

The Chinese government implemented the Qualified Foreign Institutional Investor (QFII) system in order to advance the quality of local capital markets by participation of foreign institutional investors. This paper identifies the channels through which foreign institutional investors influence...

This study investigates volatility spillovers to electric power from large exogenous shocks in the prices of gas, coal, and carbon emission allowances in the German energy market. Our sample ranges from 2008 to 2016 and covers periods of different market conditions. We use a general VAR-BEKK...

Using non-parametric weak separability tests that are extended to allow for measurement errors in the data, a broad group of UK monetary assets is found to be weakly separable from consumer goods and leisure over the larger part of the nineties. Financial innovations have made assets with...